{ "tool_id": "art-444-collateral-haircut-engine", "note": "golden_hash filled by golden-parity.test.mjs --update. Vector 1: seeded default multi-item collateral (sovereign+corporate+FX-mismatched equity) against a cash exposure, fully collateralized, no overrides. Vector 2: one clean override (with reason_code), one unmatched asset_class falling back to a conservative 100% haircut, one override MISSING a reason_code (deficient flag fires), non-cash exposure asset_class, net exposure ends up positive. Vector 3: zero-input edge (finite gate, empty table/items, all totals zero, vacuously compliant).", "vectors": [ { "name": "seeded_default_compliant", "description": "Two-tier sovereign+corporate collateral plus an FX-mismatched equity slice against a cash exposure at the standard 10-day holding period; net exposure fully collateralized.", "policy_parameters": { "haircut_table_version": "2026-07-01", "holding_period_days": 10, "fx_haircut_pct": 8, "min_haircut_floor_pct": 0, "haircut_table": [ { "asset_class": "sovereign_aaa_aa", "maturity_bucket": "0-1y", "haircut_pct": 0.5 }, { "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "haircut_pct": 2 }, { "asset_class": "sovereign_aaa_aa", "maturity_bucket": ">5y", "haircut_pct": 4 }, { "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "haircut_pct": 4 }, { "asset_class": "corporate_bbb", "maturity_bucket": "1-5y", "haircut_pct": 6 }, { "asset_class": "equity_main_index", "maturity_bucket": null, "haircut_pct": 15 } ], "exposure": { "amount": 100000000, "currency": "USD", "asset_class": "cash" }, "collateral_items": [ { "item_id": "c0", "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "market_value": 60000000, "currency": "USD" }, { "item_id": "c1", "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "market_value": 30000000, "currency": "USD" }, { "item_id": "c2", "asset_class": "equity_main_index", "maturity_bucket": null, "market_value": 20000000, "currency": "EUR" } ] }, "output_payload": { "haircut_table_version": "2026-07-01", "holding_period_days": 10, "time_scale_factor": 1, "exposure_amount": 100000000, "exposure_currency": "USD", "exposure_asset_class": "cash", "exposure_haircut_scaled_pct": 0, "exposure_adjusted": 100000000, "item_count": 3, "override_count": 0, "override_missing_reason_count": 0, "unclassified_count": 0, "collateral_items": [ { "item_id": "c0", "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "market_value": 60000000, "currency": "USD", "table_haircut_pct": 2, "haircut_pct": 2, "haircut_scaled_pct": 2, "fx_haircut_scaled_pct": 0, "combined_haircut_pct": 2, "adjusted_value": 58800000, "currency_mismatch": false, "unclassified": false, "override_applied": false, "override_reason_code": null }, { "item_id": "c1", "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "market_value": 30000000, "currency": "USD", "table_haircut_pct": 4, "haircut_pct": 4, "haircut_scaled_pct": 4, "fx_haircut_scaled_pct": 0, "combined_haircut_pct": 4, "adjusted_value": 28800000, "currency_mismatch": false, "unclassified": false, "override_applied": false, "override_reason_code": null }, { "item_id": "c2", "asset_class": "equity_main_index", "maturity_bucket": null, "market_value": 20000000, "currency": "EUR", "table_haircut_pct": 15, "haircut_pct": 15, "haircut_scaled_pct": 15, "fx_haircut_scaled_pct": 8, "combined_haircut_pct": 23, "adjusted_value": 15400000, "currency_mismatch": true, "unclassified": false, "override_applied": false, "override_reason_code": null } ], "collateral_adjusted_total": 103000000, "net_exposure": 0, "note": "Basel CRE22 comprehensive-approach standardized supervisory haircuts (versioned table = policy input), scaled to the supplied holding period via the square-root-of-time rule. An overridden item haircut without a reason_code is flagged and is the item-level basis for a separate signed §27 human_accountability_record (this kernel does not mint that record). An unmatched asset_class/maturity_bucket defaults to a conservative 100% haircut, flagged, never silently valued. No allocation/optimization across collateral items -- deterministic per-item haircut application and summation only. Evidence artifact only -- not a capital-return filing, never regulator-submittable." }, "compliance_flags": ["CRE22_HAIRCUT_APPLIED"], "golden_hash": "27c54929ce09a1d7f7c19c43faa064aac2e1bb2b587cbecb334672cf17fa525c" }, { "name": "override_missing_reason_and_unclassified", "description": "A clean haircut_override_pct (with reason_code) on the sovereign item, an unmatched exotic asset_class collateral item (falls back to 100% haircut), and a corporate item overridden WITHOUT a reason_code -- deficient flag fires. Non-cash exposure asset_class carries its own table haircut. Net exposure ends up positive (undercollateralized).", "policy_parameters": { "haircut_table_version": "2026-07-01", "holding_period_days": 10, "fx_haircut_pct": 8, "min_haircut_floor_pct": 0, "haircut_table": [ { "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "haircut_pct": 2 }, { "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "haircut_pct": 4 }, { "asset_class": "corporate_bbb", "maturity_bucket": "1-5y", "haircut_pct": 6 } ], "exposure": { "amount": 50000000, "currency": "USD", "asset_class": "corporate_bbb", "maturity_bucket": "1-5y" }, "collateral_items": [ { "item_id": "c0", "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "market_value": 40000000, "currency": "USD", "haircut_override_pct": 1, "override_reason_code": "INTERNAL_MODEL_ADJ" }, { "item_id": "c1", "asset_class": "exotic_structured_note", "maturity_bucket": "1-5y", "market_value": 10000000, "currency": "USD" }, { "item_id": "c2", "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "market_value": 5000000, "currency": "USD", "haircut_override_pct": 3 } ] }, "output_payload": { "haircut_table_version": "2026-07-01", "holding_period_days": 10, "time_scale_factor": 1, "exposure_amount": 50000000, "exposure_currency": "USD", "exposure_asset_class": "corporate_bbb", "exposure_haircut_scaled_pct": 6, "exposure_adjusted": 53000000, "item_count": 3, "override_count": 2, "override_missing_reason_count": 1, "unclassified_count": 1, "collateral_items": [ { "item_id": "c0", "asset_class": "sovereign_aaa_aa", "maturity_bucket": "1-5y", "market_value": 40000000, "currency": "USD", "table_haircut_pct": 2, "haircut_pct": 1, "haircut_scaled_pct": 1, "fx_haircut_scaled_pct": 0, "combined_haircut_pct": 1, "adjusted_value": 39600000, "currency_mismatch": false, "unclassified": false, "override_applied": true, "override_reason_code": "INTERNAL_MODEL_ADJ" }, { "item_id": "c1", "asset_class": "exotic_structured_note", "maturity_bucket": "1-5y", "market_value": 10000000, "currency": "USD", "table_haircut_pct": 100, "haircut_pct": 100, "haircut_scaled_pct": 100, "fx_haircut_scaled_pct": 0, "combined_haircut_pct": 100, "adjusted_value": 0, "currency_mismatch": false, "unclassified": true, "override_applied": false, "override_reason_code": null }, { "item_id": "c2", "asset_class": "corporate_aaa_a", "maturity_bucket": "1-5y", "market_value": 5000000, "currency": "USD", "table_haircut_pct": 4, "haircut_pct": 3, "haircut_scaled_pct": 3, "fx_haircut_scaled_pct": 0, "combined_haircut_pct": 3, "adjusted_value": 4850000, "currency_mismatch": false, "unclassified": false, "override_applied": true, "override_reason_code": null } ], "collateral_adjusted_total": 44450000, "net_exposure": 8550000, "note": "Basel CRE22 comprehensive-approach standardized supervisory haircuts (versioned table = policy input), scaled to the supplied holding period via the square-root-of-time rule. An overridden item haircut without a reason_code is flagged and is the item-level basis for a separate signed §27 human_accountability_record (this kernel does not mint that record). An unmatched asset_class/maturity_bucket defaults to a conservative 100% haircut, flagged, never silently valued. No allocation/optimization across collateral items -- deterministic per-item haircut application and summation only. Evidence artifact only -- not a capital-return filing, never regulator-submittable." }, "compliance_flags": ["CRE22_OVERRIDE_MISSING_REASON_CODE", "CRE22_UNCLASSIFIED_ASSET_CLASS", "CRE22_NET_EXPOSURE_UNCOLLATERALIZED"], "golden_hash": "66d5ae3f2bf56021cdb0ef7bb1aedab562656f596e26b3ea033e770a943cf291" }, { "name": "zero_input_edge", "description": "No haircut table, no collateral items, zero exposure, unset holding period (defaults to 10). Finite gate: all totals resolve to zero, vacuously compliant.", "policy_parameters": { "haircut_table_version": "2026-07-01", "holding_period_days": 0, "fx_haircut_pct": 8, "min_haircut_floor_pct": 0, "haircut_table": [], "exposure": { "amount": 0, "currency": "USD", "asset_class": "cash" }, "collateral_items": [] }, "output_payload": { "haircut_table_version": "2026-07-01", "holding_period_days": 0, "time_scale_factor": 1, "exposure_amount": 0, "exposure_currency": "USD", "exposure_asset_class": "cash", "exposure_haircut_scaled_pct": 0, "exposure_adjusted": 0, "item_count": 0, "override_count": 0, "override_missing_reason_count": 0, "unclassified_count": 0, "collateral_items": [], "collateral_adjusted_total": 0, "net_exposure": 0, "note": "Basel CRE22 comprehensive-approach standardized supervisory haircuts (versioned table = policy input), scaled to the supplied holding period via the square-root-of-time rule. An overridden item haircut without a reason_code is flagged and is the item-level basis for a separate signed §27 human_accountability_record (this kernel does not mint that record). An unmatched asset_class/maturity_bucket defaults to a conservative 100% haircut, flagged, never silently valued. No allocation/optimization across collateral items -- deterministic per-item haircut application and summation only. Evidence artifact only -- not a capital-return filing, never regulator-submittable." }, "compliance_flags": ["CRE22_HAIRCUT_APPLIED"], "golden_hash": "c7d371e79b930de5df803e5ecde4d82ec7b7b5a3b75be303a20f87b5b2e62154" } ] }